Captain or no, Space Marines without helmets are quickly dead Space Marines. Why bother wearing tank armor when you're just going to take off the helmet? :p Never made sense to me.
It's dangerous outside, put your ******n helmet on.
Two words: Iron Halo.
But on a more serious note, it's just for the painting. All my fluff has my sergeants and officers still wearing helmets. I just model them without them in my army for appearances' sake, since it's the only time you'd ever actually get to see their faces (though my Chaplain still has his on, since that seems ultimately appropriate).